calculate_aggregate_returns

API documentation for tradeexecutor.visual.equity_curve.calculate_aggregate_returns Python function.

calculate_aggregate_returns(equity_curve, freq='BM')

Calculate strategy aggregatd results over different timespans.

Good to calculate

• Monthly returns

• Quaterly returns

See Aggregate return for more information what this metric represents.

Note

There are multiple ways to calculate aggregated returns and they give a bit different results. See this article for details: https://quantdare.com/calculate-monthly-returns-with-pandas/

Note

The current simplicist method does not calculate returns for the first and last period.

Parameters:

• equity_curve (Series) –

  The equity curve of the portfolio.

  See calculate_equity_curve()

• freq (str | pandas._libs.tslibs.offsets.DateOffset) –

  Pandas frequency string.

  The default value is “month-end frequency”.

  For valid values see https://stackoverflow.com/a/35339226/315168

Returns:

Monthly returns for each month.

The array is keyed by the end date of the period e.g. July is 2021-07-31.

The first month can be incomplete, so its value is NaN.

Return type:

Series